This study explores the time–frequency return connectedness of the four most relevant asset classes namely, equity, digital assets, commodity, and fixed income. To do so, we use the novel proxies of the S&P500 Index for equity, the S&P Cryptocurrency MegaCAP Index for digital assets, the S&P Goldman Sachs Commodity Index for commodity, and the S&P Global Developed Sovereign Bond Index for fixed income, and also employ the wavelet analysis for daily data over the period 2017: M02 to 2021: M09. In contrast to the pre-COVID-19 period, our findings indicate that the interdependence between the selected asset classes has intensified across all time scales and frequency bands during the COVID-19 crisis, proving the lack of hedging opportunities. Besides, the findings reveal that there is a significant lead-lag relationship between time series at medium and low frequencies during the research period, and the directional connectedness among asset classes is sensitive to frequencies. Especially, the co-movements among the pairs are pronounced during the COVID-19 outbreak. Remarkably, the wavelet-based Granger causality test corroborates the wavelet results and underscores there is a significant causal link between the variables during COVID compared to pre-COVID. Moreover, the results of the portfolio risk analysis by employing the value at risk (VaR) measure indicate that portfolio diversity advantages vary among frequency and across time. The results of the present study provide insight and might help foreign portfolio investors diversify their portfolios across different asset classes.